BS_Geometric_Asian_Greeks {greeks}

Computes the Greeks of a Geometric Asian Option with classical Call- and Put-Payoff in the Black Scholes model

Description

For the definition of geometric Asian options see Malliavin_Geometric_Asian_Greeks. BS_Geometric_Asian_Greeks offers a fast and exaction computation of Geometric Asian Greeks.

Usage

BS_Geometric_Asian_Greeks(
  initial_price = 100,
  exercise_price = 100,
  r = 0,
  time_to_maturity = 1,
  volatility = 0.3,
  dividend_yield = 0,
  payoff = "call",
  greek = c("fair_value", "delta", "rho", "vega", "theta", "gamma")
)

Arguments

initial_price

• initial price of the underlying asset, can also be a vector

exercise_price

• strike price of the option

r

• risk-free interest rate

time_to_maturity

• time to maturity in years

volatility

• volatility of the underlying asset

dividend_yield

• dividend yield

payoff

• the payoff function, either a string in ("call", "put")

greek

• the Greeks to be calculated in c("fair_value", "delta", "vega", "theta", "rho", "gamma", "vomma")

Value

Named vector containing the values of the Greeks specified in the parameter greek.

See Also

Malliavin_Geometric_Asian_Greeks for the Monte Carlo implementation which provides digital and custom payoff functions and also works for the jump diffusion model

Greeks_UI for an interactive visualization

Examples

BS_Geometric_Asian_Greeks(initial_price = 110, exercise_price = 100,
r = 0.02, time_to_maturity = 4.5, dividend_yield = 0.015, volatility = 0.22,
greek = c("fair_value", "delta", "rho", "vega", "theta", "gamma"),
payoff = "put")